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Ken,
MSFT was a verbal example. I hope it was clear.
DT
--- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> DT: thanks...your approach is clear now.
>
> I have not done the test with composites of the market, but one case
> only, MSFT, did not produce a result I would try to trade.
>
> Optimize Period.......FullPeriod.....OOSPeriod
>
> ......................CAR/Mdd
>
> 8/98-9/01.............49/-48.........5/-27
>
> 1/2000-9/01...........125/-38........13/-32
>
> 1/00 to 2/03..........125/-38
>
> I will try other combinations, but this did not show me anything on
> MSFT, even taking into account the bear market characteristics.
>
> No criticism and I know you advocate using several indicators and
> factors, but I am slowly learning to subject a system (any system)
to
> this optimize/OOS test cycle---the good performing systems (which I
> define as having CAR>40 and Mdd<10 to 12, are far and few between.
>
> Any one else have a comment?
>
> Ken
>
> -----Original Message-----
> From: DIMITRIS TSOKAKIS <TSOKAKIS@xxxx> [mailto:TSOKAKIS@x...]
>
> Sent: Wednesday, February 19, 2003 8:30 AM
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: [amibroker] Re: The transcendental use of Data: An
application
>
> Ken,
> it is writen in the beginning : Use "current" stock to see the best
> Foreign data to trade it [with D-ratio5 or any other indicator.
> the second alternative is to use any group/watch List/sector or
even
> the whole market, "borrow" TMPW data and trade them all.
> Is it clear?
> It is the same logic with composite tickers : We use in a TTM the
> MeanRSI curve to trade the stock/group/sector/market.
> In the transcendental manner, we use MSFT RSI to trade INTC or any
> other favorite stock. The MSFT RSI is the signal generator for
> anonymous buy/sell signals. This is the idea.
> DT
> --- In amibroker@xxxxxxxxxxxxxxx, "Ken Close" <closeks@xxxx> wrote:
> > Dimitris: thanks once again for an innovative system concept.
> >
> >
> >
> > The purpose of my note is to comment on it performance. Some
have
> said
> > that it is better to optimize over a longer period than just from
> > 1/1/2000 and others have said to optimize just from 1/1/2000
> onward. I
> > subscribe to the former approach and my standard optimize period
is
> > 8/1/1998 to 0/21/2001. I then test from 8/1/1998 to today and from
> > 9/22/2001 to today. I use the Tonetti enhanced equity curve,
which
> > gives some good statistics but also shows the log equity curve. A
> > system that is going to fail will show a clear drop off in the OOS
> > period.
> >
> >
> >
> > This code gives a fairly smooth equity curve which does not "blow
> up" in
> > the OOS period. It seems to perform better on DJ30 or even SP500
> stocks
> > but not so good on NDX stocks. Drawdowns are still double
digits. I
> > also optimized from the period 1/1/2000 forward, using the same
OOS
> > period. Performance seemed worse in that annual percentage gains
> were
> > higher but Drawdowns were very high---30% the lowest.
> >
> >
> >
> > What is not clear to me in your message or code is what stock or
> index
> > you place in the Buy position while you are doing the
optimization.
> > What array is being bought and sold during the optimization. This
> > clearly makes a difference to the result and I am curious as to
> what you
> > used.
> >
> >
> >
> > Nonetheless, it is an innovative new approach and I for one thank
> you
> > for sharing.
> >
> >
> >
> > Ken
> >
> >
> >
> > -----Original Message-----
> > From: Dimitris Tsokakis [mailto:TSOKAKIS@x...]
> > Sent: Wednesday, February 19, 2003 5:24 AM
> > To: amibroker@xxxxxxxxxxxxxxx
> > Subject: [amibroker] The transcendental use of Data: An
application
> >
> >
> >
> > A.
> >
> > I trade BEAS.
> >
> > Its performance with the smoothed D-ratio5 is poor. 3/21 winning
> > combinations when D1=Optimize("D1",42,30,50,1); and the best
gives
> >
> > some +115% in 3 years. Nothing important for 57 dangerous trades.
> >
> > But, BEAS may give great results, much better than +1000% with a
> lot of
> > systems.
> >
> > B.
> >
> > I do not trade TMPW and I know almost nothing about it.
> >
> > For me, TMPW is a 5-D vector [O, H, L, C, V] in the wild
StockMarket
> > vector space.
> >
> > TMPW is in the top10 list for D-ratio5 trading over the whole N100
> > market, according to my earlier post.
> >
> > Its D-ratio5 curve gives "good" signals for the majority of the
> stocks.
> >
> > For D1=42, for example, it sends BEAS profits to >+1000% and it
is
> not
> > coincidental, since the whole market profits are +450% with
> >
> > >75% profitable stocks.[It is not a holy grail, it is a real
> fighter,
> > you should take all the risk to trade it, but 75% is a respectable
> > percentage]
> >
> > C.
> >
> > I "borrowed" TMPW clear Buy signal on Valentines day, Feb14 to
Buy
> BEAS
> > [and CSCO] on the next bar Open.
> >
> > The Open was cool, the day was great, some cables traffic 15 min
> before
> > the end [life is not as easy as backtesting] plus my broker
> >
> > advise to sell tomorrow, but the sell order was an order, it was
a
> clear
> > take-the-money-and-run session, the system will make its own
> profits,
> >
> > statistics is an additive science [linear or not].
> >
> > CSCO will pay the expenses, BEAS will pay the research, I should
> learn
> > something for TMPW, perhaps it is a great company.
> >
> > D.
> >
> > I will refill my hot coffee and try to understand what I was doing
> > yesterday.
> >
> > Dimitris Tsokakis
> >
> > the Yahoo! Terms of Service <http://docs.yahoo.com/info/terms/> .
>
>
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